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range and trend following strategies are of course up to you ;-)

Hmm, it's a joke, isn't it ? Market in range -> use of range-type strategies Market in trend -> use of trend following-type strategies

Of course they would be !

That's why I asked ;-)

He wrote 'forecast'. A forecast cannot be lagging... There are timing methods which can forecast changes in trend or ranges but those cannot tell( ahead of time ) you what will follow or direction of a price move. Those will just tell you that change is coming. When the time of the signal...

This is a lagging indicator, almost useless.

And those glorious methods for predicting trends and ranges are ????

You're welcome. Spending time to read and learn is always one of the best investment one can do ;-)

It's always very pleasant to see that mathematical/experimental facts match some traders 'feelings' ;-)

Microsoft stuff like VBA ? I'm definitely not your man. Sorry.

So a search on the net. Plenty of very good tutorials out there...for free...

These articles (and some other facts/papers/studies) have given me some ideas. But don't be fooled : you have to work with the data. There is a lot to be discovered and the path is quite long. My results are quite universal and apply equally to a market like NQ or DAX, and even on EUR...

What you think isn't important, namely cancellation of orders, IS important. Some interesting papers on the topic.... http://xxx.sissa.it/abs/cond-mat/0206280 http://xxx.sissa.it/abs/cond-mat/0210475 http://xxx.sissa.it/abs/cond-mat/0203511 http://xxx.sissa.it/abs/cond-mat/0307332

It isn't a question of bid/ask ratio. It's a little more advanced than just that. Studies have been made with the help of statistical physics. I can post a link to some interesting articles if you feel like, but be aware that you need a certain knowledge in maths/physics (more than in finance)...

You should... But let me tell you that only a computer would be able to do that for you. Just forget finding something interesting with your eyes only.

Then your conclusion is wrong if you accept that trades can be put in continuous time (another philosphical debate...)

If I understood it right, you defined an equivalence on a time period (let's say 10 years). What I mean, is that in a space of states of 10 years (example) of possible transactions, systems can be equivalent for 5 minutes, 10 minutes, 3 years or whatever. They are equivalent on this time frame...

I'm not really interested in this debate, but here is a short thought. You have to make a difference between the 'considered whole time period' and the period on which two systems are equivalent.

You're wrong, because your definition of 'equivalence' isn't good. You might very well find 2 systems that give the same signals on a given time period and then different signals on another time period. Your conclusion is right, but your premices are wrong.

Mainly perl, Java and C